Tail Dependence Function of Shanghai and Shenzhen Stock Market Returns
Shi Dao-ji · Shuxue de shijian yu renshi · 2008
Tail dependence is an important aspect in dependence analysis.In this paper,we introduce dependence measure χ,χ-and tail dependence function ρ(θ) to measure tail dependence.A nonparametric estimation procedure of ρ(θ) is presented.We also use these two methods to analyze Shanghai and Shenzhen stock market returns.The conclusion is that the tail dependence of the returns is very strong.